Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0309
Annualized Std Dev 0.3324
Annualized Sharpe (Rf=0%) 0.0929

Row

Daily Return Statistics

Close
Observations 3488.0000
NAs 1.0000
Minimum -0.1998
Quartile 1 -0.0088
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0104
Maximum 0.1675
SE Mean 0.0004
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0010
Variance 0.0004
Stdev 0.0209
Skewness -0.7191
Kurtosis 8.0187

Downside Risk

Close
Semi Deviation 0.0156
Gain Deviation 0.0138
Loss Deviation 0.0169
Downside Deviation (MAR=210%) 0.0198
Downside Deviation (Rf=0%) 0.0154
Downside Deviation (0%) 0.0154
Maximum Drawdown 0.7972
Historical VaR (95%) -0.0326
Historical ES (95%) -0.0516
Modified VaR (95%) -0.0348
Modified ES (95%) -0.0753
From Trough To Depth Length To Trough Recovery
2011-04-29 2020-03-18 NA -0.7972 2403 2149 NA
2008-03-06 2008-10-27 2010-09-29 -0.5741 648 164 484
2007-02-27 2007-08-21 2007-11-06 -0.2151 177 123 54
2011-01-03 2011-01-25 2011-02-17 -0.1378 33 16 17
2007-11-12 2007-12-17 2008-01-10 -0.1375 41 25 16

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 0.7 -4 1 -1.3 1.7 -0.9 0.2 2.5 -0.5 -2.5 -1.6 0 -4.7
2008 -0.8 -0.1 -3 -3.5 1.7 4 -1.5 -1 4.9 -1 -10.9 4.6 -7.5
2009 2.3 -0.4 0.3 0.8 -0.6 1.3 3.5 0.8 -1.8 -2 3.6 0.2 8.1
2010 3.1 -0.2 2.5 0.8 0 -4.5 2.1 0.2 1.5 -0.3 1.3 1.3 7.9
2011 1.8 2.3 0.3 -0.7 -4.9 -2.5 -1.5 0 -3.5 -3.2 -0.4 -0.8 -12.6
2012 1.6 2.6 0.5 -0.4 2.3 4.1 -2 4.4 0.5 -0.1 -2.3 1.2 13
2013 1.3 0 -1.3 -2.7 -2.6 0.5 -0.8 -1.8 -2.4 -0.1 1.7 -0.9 -8.7
2014 -0.1 -0.3 -0.3 -0.8 -1 0 -0.6 -0.4 1.1 -2.3 7.1 -3.7 -1.7
2015 1.9 0 2.2 -0.1 0.4 -0.7 0.1 -0.2 0.1 -0.1 0.8 -1 3.4
2016 1 0.6 -4.2 1.8 -0.8 5 0.4 1 0.5 2.5 -0.1 -1.5 6
2017 -0.2 0.4 -0.4 -1.9 -0.6 -0.1 -0.8 1 -1.2 1.2 -0.3 0.7 -2.4
2018 0.5 1 0.4 -1.1 -0.9 -2 0.4 -0.3 -1.2 2.6 -1.1 0.5 -1.1
2019 -0.9 -2.9 -0.1 -2 0.6 -1 0.7 0.5 1.4 0 0.3 -0.3 -3.8
2020 0.7 -5.8 -0.7 -0.5 2.1 -1.3 4.3 -0.4 2.1 1.1 6.3 -0.6 6.9
2021 8 0.1 0.9 NA NA NA NA NA NA NA NA NA 9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-05  24.2 SPY    141. -0.008  -0.0138   -0.0053   0.0417   0.104     0.250    0.203 GLD    60.2 -0.024   -0.0329
2 2007-01-08  24.4 SPY    141.  0.0046 -0.0072   -0.005    0.0445   0.108     0.254    0.200 GLD    60.5  0.0052  -0.0385
3 2007-01-09  24.7 SPY    141. -0.0008 -0.0039   -0.005    0.0449   0.0983    0.249    0.208 GLD    60.8  0.0061  -0.0373
4 2007-01-10  24.5 SPY    142.  0.0033  0.00120   0.0027   0.0477   0.0992    0.248    0.215 GLD    60.6 -0.0043  -0.0271
5 2007-01-11  24.4 SPY    142.  0.0044  0.0035    0.0052   0.0509   0.103     0.265    0.230 GLD    60.6  0.0007  -0.0165
6 2007-01-12  25.3 SPY    143.  0.0076  0.0192    0.0099   0.0602   0.108     0.265    0.234 GLD    62.2  0.0254   0.0332
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart